How Does a Change in Implied Volatility Affect the Price of Out-of-the-Money (OTM) Options?

Out-of-the-money (OTM) options have a higher sensitivity to changes in implied volatility (IV) than in-the-money (ITM) options. As IV increases, the perceived probability of the OTM option moving into the money before expiration increases, causing its price to rise significantly.

This sensitivity means that a sudden spike in IV can cause a rapid, large change in the OTM option's quoted price, increasing the potential for slippage between the quote and execution.